Martin-Molinero
ff47ede36c
- Lean engine will automatically add an options underlying if not present, but in most cases the option chain will select the underlying too, so let's make sure the configurations match. Previous to this change 'fill forward' setting could be different causing the underlying to be duplicated in the data stack
42 lines
1.9 KiB
C#
42 lines
1.9 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm exercising an index covered European style option, using an option price model
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/// that supports European style options and asserting that the option price model is used.
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/// </summary>
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public class OptionPriceModelForSupportedEuropeanOptionTimeSpanWarmupRegressionAlgorithm : OptionPriceModelForSupportedEuropeanOptionRegressionAlgorithm
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{
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public override void Initialize()
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{
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base.Initialize();
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// We want to match the start time of the base algorithm. SPX index options data time zone is chicago, algorithm time zone is new york (default).
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// Base algorithm warmup is 7 bar of daily resolution starts at 23 PM new york time of T-1. So to match the same start time
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// we go back a 9 day + 23 hours, we need to account for a single weekend. This is calculated by 'Time.GetStartTimeForTradeBars'
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SetWarmup(TimeSpan.FromHours(24 * 9 + 23));
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}
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public override long DataPoints => 1387;
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}
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}
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